Ensure that you have installed the Citation Plugin. To do so, in Mendeley Desktop, go to Tools > Install MS Word Plugin. The plugin is available for both MS Word for Windows and Mac.
Select the References tab in the Word toolbar. You will see the Mendeley Cite-O-Matic on the ribbon
Depending on your version of Word, you will either see the Mendeley Cite-O-Matic on the ribbon under Add in (Word 2016), or as a separate toolbar (earlier versions). If the tool bar is missing, go to View > Toolbars > Mendeley Toolbar.
For additional details on using the Citation Plugin from Mendeley, click here.
This video shows you how to insert citations and generate bibliographies with Mendeley:
1) Installing the Citation Plugin (0:15)
2) Displaying the Mendeley toolbar in Word (0:26)
3) Inserting citations using the toolbar (0:34)
4) Inserting citations from your Mendeley Library (1:00)
5) Searching and inserting citations from Groups (1:24)
6) Creating bibliographies (1:33)
7) Changing between citation styles (1:52)
Note: This video was released by Mendeley in 2011. The interface for Mendeley and/or Word in the video may look different from newer versions in use now.
Mendeley supports 6979 different citation styles. View the full list here.
However, if you can't find the style that you need, or you need to make minor adjustments or modifications to an existing style, you can use the CSL Editor. Instructions on how to use the CSL editor available here.